关于股份制改革后国有独资商业银行信用风险管理问题的思考

【作者】 许冬凌；

【导师】 孔淑红；

【作者基本信息】 对外经济贸易大学 ， 金融学， 2006， 硕士

【摘要】 2004 年以来国有独资商业银行陆续进行股份制改造,作为国有商业银行股份制改造密不可分的重要组成部分——风险管理改革也已进入关键时刻。因此,在卸掉沉重的历史包袱之后,构建一个组织科学、战略清晰、目标明确、职责到位的风险管理体系,是现代商业银行在国际金融市场上谋求发展的最基本要求。本文对从信用风险的成因、巴塞尔新资本协议对信用风险管理的要求、美国和德国商业银行风险管理模式和方法三方面进行分析,探索国有独资商业银行股份制改革后如何改进信用风险管理,奠定参与国际银行业竞争的基础。本文第一部分从外部和内部两个方面分析了国有独资商业银行信用风险成因,其中外部因素包括社会信用体系不健全、政府干预过多、企业信用状况较差等方面,内部因素包括国有独资商业银行治理结构不合理、经营理念落后、管理模式非市场化、信用风险管理方法和技术落后等方面。第二部分阐述了巴塞尔新资本协议我国银行业经营和管理的重要意义,介绍了巴塞尔新资本协议的“三大支柱、一个核心”的主要内容和特点、重点分析了巴塞尔新资本协议对银行信用风险管理的定义、要求和三种信用风险计量方法。第三部分介绍了美国商业银行的风险管理体系,其中包括董事会与高管层的职责、管理框架、条线职责、风险测量、独立审计等几个方面,特别以花旗集团为例,进一步说明了美国商业银行的风险管理模式。接着以德意志银行为例,介绍了德国商业银行的风险管理模式,其中包括风险管理原则、组织架构、风险管理工具三个主要方面。从对以上两个银行风险管理案例的研究,总结西方先进商业银行信用风险管理的普遍特点,以供借鉴。第四部分针对以上分析,提出了国有独资商业银行股份制改革后信用风险管理的几点建议:一是从单一的降低不良贷款为主,转向建立以股东长远利益最大化为目标的信用风险管理理念,探索风险——收益平衡的管理方式,以经风险调整的收益作为衡量和考核商业银行经营管理好与坏的标准;二是建立独立垂直的风险管理机构,各层级的风险管理部门直接对上级风险管理部门负责和报告,理顺风险管理路径,增强风险管理的独立性;三是引入经济资本管理的方式对业务发展进行引导和约束,强化对风险资产总量的约束,硬化资本回报对经营管理的更多还原

【Abstract】 With the promoting of shareholding system reform in state-owned commercialbank since 2004, as one of the important parts of the shareholding system, it’s keytime to reform the risk management system. After disburdening the historical baggage,state-owned commercial banks must construct a risk management system withscientific structure, clarifying strategy, clear aim, and great sense of responsibility,which is the basic requirement on modern commercial bank that wants to develop ininternational financial market.With the analysis of the causes of credit risk, the requirement on credit riskmanagement in Basel Capital Accord Ⅱ(for short Basel Ⅱ), and the mode andmethod of risk management in American and German commercial banks, the thesisresearches how to promote the credit risk management to lay the foundation ofparticipating in the international banking competition after shareholding systemreform in state-owned commercial bank.In Chapter One, the thesis analyzes the exterior and interior causes of credit riskin stated-owned commercial bank. The exterior causes are the unimproved socialcredit system, too much government intervention, worse credit status of enterprise, etc.The interior causes are unreasonable governance structure, unadvanced managementconcept, non-marketization of management mode, unadvanced method and techniqueof credit risk management, etc.In Chapter Two, the thesis expatiates on the significance of Basel Ⅱ forChinese banking management, introduces the main contents, viz. “Three pillars &One Core”, and the characteristics of Basel Ⅱ, and analyzes emphatically thedefinition and the requirements of bank credit risk management and three methods ofcredit risk measurement in Basel Ⅱ.In Chapter Three, the thesis introduces risk management system in Americancommercial bank, including the responsibility of directorate and top executive,management structure, departmental responsibility, risk measurement, independentaudit, etc. Taking example for Citigroup Inc., the thesis expatiates on the riskmanagement mode in American commercial bank. Then, taking example for DeutscheBank, the thesis introduces the risk management mode in German commercial bank,including the principle of risk management, the structure and the instruments of riskmanagement. With the study of above two cases, the thesis summarizes the generalcharacters of risk management in Western advanced commercial bank which is usedfor reference.In Chapter Four, the thesis puts forward some suggestions on credit riskmanagement after shareholding system reform in stated-owned commercial bankaccording to above analysis. First is to form the new credit risk management conceptthat should aim at maximizing the long-term benefits of shareholders, not only atdecreasing the non-performing loan, and to explore the management mode of risk andreturn equilibrium, viz. setting the risk-adjusted return as the standard of commercialbank management. Second is to construct the independent and vertical riskmanagement system in which risk management department at all levels should beresponsible and report to its superior one, to rationalize the risk management path, andto reinforce the independence of risk management. Third is to introduce the economiccapital management mode to conduct and restrict the development of commercialbank operation, to reinforce the constraint on gross risk asset, to harden the constraintof capital return on management, and to enforce the conduct on structural adjustmentof bank operation. Final is to speed up the study on the Internal Rating BasedApproach (IRB), to build the whole and consecutive database according to IRB, toresearch the risk measurement model which adapts to national conditions, to measurecredit risk scientifically and accurately, and to improve credit risk management.更多还原